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All Journal Media Statistika Jurnal Gaussian Journal of the Indonesian Mathematical Society Journal of Fundamental Mathematics and Applications (JFMA) Indonesian Journal of Statistics and Its Applications

Gunardi .

Departemen Matematika, FMIPA, Universitas Gadjah Mada

Author-ID : 4393980

Computer Science & IT Decision Sciences, Operations Research & Management Mathematics Other

Published : 6 Documents Claim Missing Document

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Articles

P(I)DE APPROACH FOR INDONESIAN OPTIONS PRICING Gunardi .
Journal of the Indonesian Mathematical Society Volume 14 Number 1 (April 2008)
Publisher : IndoMS

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.22342/jims.14.1.60.37-45

Jakarta Stock Exchange Indonesia has started to trade Indonesian options at September 9th, 2004. An Indonesian option can be considered as an American style barrier option with immediate (forced) exercise if the price hits or crosses the barrier before maturity. The payoff of the option is based on a moving average of the price of the underlying stock. The barrier is fixed at the strike price plus or minus a 10 percent. The option is automatically exercised when the underlying stock hits or crosses the barrier and the difference between strike and barrier is paid immediately. We will refer to this type of option as an Indonesian option. In this paper we study the pricing of the Indonesian option under Black-Scholes model by PDE approach and under Variance Gamma model by PIDE approach.DOI :http://dx.doi.org/10.22342/jims.14.1.60.37-45

IMPLEMENTASI METODE BAYES PADA PENGHITUNGAN PREMI ASURANSI KENDARAAN BERMOTOR Rika Fitriani; Gunardi Gunardi
Journal of Fundamental Mathematics and Applications (JFMA) Vol 3, No 2 (2020)
Publisher : Diponegoro University

One type of general insurance is motor vehicle insurance. Premium pricing of general insurance can be calculated by some methods. In this study, Bayes method will be used. The distribution of claim frequency is Poisson distribution and the distribution of claim severity is Exponential distribution. The premium is calculated by multiplying the expectation of claim frequency and the expectation of claim severity. Based on the historical data analysis using the Bayes method, the highest pure premium of motor vehicle insurance in Indonesia is Hino brand and the lowest pure premium is Honda brand. The result of this premium pricing can be used as a reference for the insurance companies to manage their motor vehicle insurance reserves.

PERAMALAN BEBAN LISTRIK DAERAH ISTIMEWA YOGYAKARTA DENGAN METODE SINGULAR SPECTRUM ANALYSIS (SSA) Herni Utami; Yunita Wulan Sari; Subanar Subanar; Abdurakhman Abdurakhman; Gunardi Gunardi
MEDIA STATISTIKA Vol 12, No 2 (2019): Media Statistika
Publisher : Department of Statistics, Faculty of Science and Mathematics, Universitas Diponegoro

This paper will study forecasting model for electricity demand in Yogyakarta and forecast it for 2019 until 2024. Usually, electricity demand data contain seasonal. We propose Singular Spectral Analysis-Linear Recurrent Formula (SSA-LRF) method. The SSA process consists of decomposing a time series for signal extraction and then reconstructing a less noisy series which is used for forecasting. The SSA-LRF method will be used to forecast h-step ahead. In this study, we use monthly electricity demand in Yogyakarta for 11 year (2008 to 2018). The forecasting results indicates that the forecast using window length of L=26 have good performance with MAPE of 1.9%.

RANCANGAN D-OPTIMAL UNTUK MODEL EKSPONENSIAL GENERAL Tatik Widiharih; Sri Haryatmi; Gunardi Gunardi
MEDIA STATISTIKA Vol 7, No 2 (2014): Media Statistika
Publisher : Department of Statistics, Faculty of Science and Mathematics, Universitas Diponegoro

Exponential model is widely used in biology, chemistry, pharmacokinetics and microbiology. D-optimal criteria is criteria with the purpuse to minimize the variance of the estimator of parameters in the model. In this paper will discuss the D-optimal design for the generalized exponential model with homoscedastics errore assumtion. We used minimally supported design with the proportion of each design point is uniform. The optimization is used modified Newton, and the results obtained that the design points are interior points of the design region. Keywords: D-Optimal, Generalized Exponential, Minimally Supported Design, Support Point, Homoscedastics

PERAMALAN PADA RUNTUN WAKTU DENGAN POLA TREND MENGGUNAKAN SSA-LRF Diah Safitri; Gunardi Gunardi; Nanang Susyanto; winita Sulandari
Jurnal Gaussian Vol 12, No 2 (2023): Jurnal Gaussian
Publisher : Department of Statistics, Faculty of Science and Mathematics, Universitas Diponegoro

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.14710/j.gauss.12.2.296-303

Singular Spectrum Analysis-Linear Recurrent Formulae (SSA-LRF) is a forecasting method that starts by decomposing time series data into several independent and interpretable components. SSA-LRF does not have any assumptions that must be fulfilled thus it is more flexible to use. In this research, an empirical study of time series forecasting that has a trend data pattern will be carried out using SSA-LRF without difference transformation and with difference transformation. A difference transformation is performed because the data has a trend pattern. Although there are no assumptions that must be met in forecasting using SSA-LRF, it is expected that difference transformation will produce better forecasting accuracy than without difference transformation process. There are three data used in this research. The first is data from Wei's book (2006), this data is called series W8 and is a simulation data. The second data is the number of railway passengers in the Java region. The third data is Mauna Loa atmospheric CO2 concentration data obtained from R software. Forecasting using SSA-LRF without difference transformation and with difference transformation on all three data resulted in accurate forecasting values, and difference transformation improved the accuracy values

PENDEKATAN OPSI CASH-OR-NOTHING UP AND IN BARRIER UNTUK PENENTUAN NILAI PREMI ASURANSI PERTANIAN Yunita Wulan Sari; Gunardi Gunardi
Indonesian Journal of Statistics and Applications Vol 4 No 3 (2020)
Publisher : Departemen Statistika, IPB University dengan Forum Perguruan Tinggi Statistika (FORSTAT)

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.29244/ijsa.v4i3.660

Crop insurance is a type of insurance that provides protection to farmers who hold an insurance policy for losses due to crop failure. Extreme weather, especially rainfall, has been the main cause of the crop failure. Therefore, the type of crop insurance based on weather or rainfall must be developed and applied. This paper will discuss the cash-or-nothing up and in barrier option approach for determining insurance premiums where the risk of loss in terms of high rainfall, then compare it to the Black-Scholes option approach. In this approach, the claim limit is based on the rainfall index and the value of the barrier is determined according to the size of the extreme rainfall. We use cumulative rainfall data in the first subround in Sleman regency as a case study. The conclusions obtained are barrier value has a negative effect on the value of insurance premiums and claim limit value has a positive effect. Besides the premium value with this barrier option approach is cheaper than the Black-Scholes option approach, this approach method more interesting to apply because of the barrier value addition.

Co-Authors Abdurakhman Abdurakhman Diah Safitri Herni Utami Nanang Susyanto Rika Fitriani Sri Haryatmi Subanar Subanar Tatik Widiharih winita Sulandari Yunita Wulan Sari

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